Generalized Covariance Estimator
From MaRDI portal
Publication:6190741
DOI10.1080/07350015.2022.2120486arXiv2107.06979OpenAlexW3180093031MaRDI QIDQ6190741
Christian Gouriéroux, Joanna Jasiak
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.06979
canonical correlationcommoditiessemiparametric estimatorportmanteau statisticgeneralized covariance estimatorcontinuously updating GMMmixed causal-noncausal process
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